For quick testing, debugging, creating portable examples, and benchmarking, R has available to it a large number of data sets (in the Base R datasets
package).
Following Joran's comment, I've since found the statsmodels module, which provides its own datasets
package. The online documentation shows an example of how to import datasets available in R:
import statsmodels.api as sm
duncan_prestige = sm.datasets.get_rdataset("Duncan", "car")
print duncan_prestige.__doc__